freealg 0.0.3__py3-none-any.whl → 0.1.1__py3-none-any.whl

freealg/freeform.py

@@ -13,15 +13,19 @@
 
 import numpy
 from scipy.stats import gaussian_kde
+# from statsmodels.nonparametric.kde import KDEUnivariate
 from functools import partial
 from ._util import compute_eig, force_density
-from ._jacobi import jacobi_proj, jacobi_approx, jacobi_stieltjes
-from ._chebyshev import chebyshev_proj, chebyshev_approx, chebyshev_stieltjes
+from ._jacobi import jacobi_sample_proj, jacobi_kernel_proj, jacobi_approx, \
+    jacobi_stieltjes
+from ._chebyshev import chebyshev_sample_proj, chebyshev_kernel_proj, \
+    chebyshev_approx, chebyshev_stieltjes
 from ._damp import jackson_damping, lanczos_damping, fejer_damping, \
     exponential_damping, parzen_damping
 from ._plot_util import plot_fit, plot_density, plot_hilbert, plot_stieltjes
 from ._pade import fit_pade, eval_pade
 from ._decompress import decompress
+from ._sample import qmc_sample
 
 __all__ = ['FreeForm']
 
@@ -173,8 +177,9 @@ class FreeForm(object):
     # ===
 
     def fit(self, method='jacobi', K=10, alpha=0.0, beta=0.0, reg=0.0,
-            damp=None, force=False, pade_p=1, pade_q=1, plot=False,
-            latex=False, save=False):
+            projection='kernel', kernel_bw=None, damp=None, force=False,
+            pade_p=0, pade_q=1, odd_side='left', pade_reg=0.0, optimizer='ls',
+            plot=False, latex=False, save=False):
         """
         Fit model to eigenvalues.
 
@@ -201,6 +206,19 @@ class FreeForm(object):
         reg : float, default=0.0
             Tikhonov regularization coefficient.
 
+        projection : {``'sample'``, ``'kernel'``}, default= ``'kernel'``
+            The method of Galerkin projection:
+
+            * ``'sample'``: directly project samples (eigenvalues) to the
+              orthogonal polynomials. This method is highly unstable as it
+              treats each sample as a delta Dirac function.
+            * ``'kernel'``: computes KDE from the samples and project a
+              smooth KDE to the orthogonal polynomials. This method is stable.
+
+        kernel_bw : float, default=None
+            Kernel band-wdth. See scipy.stats.gaussian_kde. This argument is
+            relevant if ``projection='kernel'`` is set.
+
         damp : {``'jackson'``, ``'lanczos'``, ``'fejer``, ``'exponential'``,\
                 ``'parzen'``}, default=None
             Damping method to eliminate Gibbs oscillation.
@@ -209,15 +227,33 @@ class FreeForm(object):
             If `True`, it forces the density to have unit mass and to be
             strictly positive.
 
-        pade_p : int, default=1
-            Degree of polynomial :math:`P(z)`. See notes below.
+        pade_p : int, default=0
+            Degree of polynomial :math:`P(z)` is :math:`q+p` where :math:`p`
+            can only be ``-1``, ``0``, or ``1``. See notes below.
 
         pade_q : int, default=1
-            Degree of polynomial :math:`Q(z)`. See notes below.
+            Degree of polynomial :math:`Q(z)` is :math:`q`. See notes below.
+
+        odd_side : {``'left'``, ``'right'``}, default= ``'left'``
+            In case of odd number of poles (when :math:`q` is odd), the extra
+            pole is set to the left or right side of the support interval,
+            while all other poles are split in half to the left and right. Note
+            that this is only for the initialization of the poles. The
+            optimizer will decide best location by moving them to the left or
+            right of the support.
+
+        pade_reg : float, default=0.0
+            Regularization for Pade approximation.
+
+        optimizer : {``'ls'``, ``'de'``}, default= ``'ls'``
+            Optimizer for Pade approximation, including:
+
+            * ``'ls'``: least square (local, fast)
+            * ``'de'``: differential evolution (global, slow)
 
         plot : bool, default=False
-            If `True`, the approximation coefficients and pade approximaton to
-            the Hilbert traosnform are plotted.
+            If `True`, the approximation coefficients and Pade approximation to
+            the Hilbert transform are plotted.
 
         latex : bool, default=False
             If `True`, the plot is rendered using LaTeX. This option is
@@ -234,6 +270,20 @@ class FreeForm(object):
         psi : (K+1, ) numpy.ndarray
             Coefficients of fitting Jacobi polynomials
 
+        Notes
+        -----
+
+        The Pade approximation for the glue function :math:`G(z)` is
+
+        .. math::
+
+            G(z) = \\frac{P(z)}{Q(z)},
+
+        where :math:`P(z)` and :math:`Q(z)` are polynomials of order
+        :math:`p+q` and :math:`q` respectively. Note that :math:`p` can only
+        be -1, 0, or 1, effectively making Pade approximation of order
+        :math:`q-1:q`, :math:`q:q`, or :math:`q-1:q`.
+
         Examples
         --------
 
@@ -248,12 +298,50 @@ class FreeForm(object):
         if beta <= -1:
             raise ValueError('"beta" should be greater then "-1".')
 
+        if not (method in ['jacobi', 'chebyshev']):
+            raise ValueError('"method" is invalid.')
+
+        if not (projection in ['sample', 'kernel']):
+            raise ValueError('"projection" is invalid.')
+
         # Project eigenvalues to Jacobi polynomials basis
         if method == 'jacobi':
-            psi = jacobi_proj(self.eig, support=self.support, K=K, alpha=alpha,
-                              beta=beta, reg=reg)
+
+            if projection == 'sample':
+                psi = jacobi_sample_proj(self.eig, support=self.support, K=K,
+                                         alpha=alpha, beta=beta, reg=reg)
+            else:
+                # smooth KDE on a fixed grid
+                xs = numpy.linspace(self.lam_m, self.lam_p, 2000)
+                pdf = gaussian_kde(self.eig, bw_method=kernel_bw)(xs)
+
+                # Adaptive KDE
+                # k = KDEUnivariate(self.eig)
+                # k.fit(bw="silverman", fft=False, weights=None, gridsize=1024,
+                #       adaptive=True)
+                # pdf = k.evaluate(xs)
+
+                psi = jacobi_kernel_proj(xs, pdf, support=self.support, K=K,
+                                         alpha=alpha, beta=beta, reg=reg)
+
         elif method == 'chebyshev':
-            psi = chebyshev_proj(self.eig, support=self.support, K=K, reg=reg)
+
+            if projection == 'sample':
+                psi = chebyshev_sample_proj(self.eig, support=self.support,
+                                            K=K, reg=reg)
+            else:
+                # smooth KDE on a fixed grid
+                xs = numpy.linspace(self.lam_m, self.lam_p, 2000)
+                pdf = gaussian_kde(self.eig, bw_method=kernel_bw)(xs)
+
+                # Adaptive KDE
+                # k = KDEUnivariate(self.eig)
+                # k.fit(bw="silverman", fft=False, weights=None, gridsize=1024,
+                #       adaptive=True)
+                # pdf = k.evaluate(xs)
+
+                psi = chebyshev_kernel_proj(xs, pdf, support=self.support,
+                                            K=K, reg=reg)
         else:
             raise ValueError('"method" is invalid.')
 
@@ -299,17 +387,17 @@ class FreeForm(object):
         g_supp = 2.0 * numpy.pi * self.hilbert(x_supp)
 
         # Fit a pade approximation
-        self._pade_sol = fit_pade(x_supp, g_supp, self.lam_m,
-                                  self.lam_p, pade_p, pade_q, delta=1e-8,
-                                  B=numpy.inf, S=numpy.inf)
+        # self._pade_sol = fit_pade(x_supp, g_supp, self.lam_m,
+        #                           self.lam_p, pade_p, pade_q, delta=1e-8,
+        #                           B=numpy.inf, S=numpy.inf)
+        self._pade_sol = fit_pade(x_supp, g_supp, self.lam_m, self.lam_p,
+                                  p=pade_p, q=pade_q, odd_side=odd_side,
+                                  pade_reg=pade_reg, safety=1.0, max_outer=40,
+                                  xtol=1e-12, ftol=1e-12, optimizer=optimizer,
+                                  verbose=0)
 
         if plot:
-            # Unpack optimized parameters
-            s = self._pade_sol['s']
-            a = self._pade_sol['a']
-            b = self._pade_sol['b']
-
-            g_supp_approx = eval_pade(x_supp[None, :], s, a, b)[0, :]
+            g_supp_approx = eval_pade(x_supp[None, :], self._pade_sol)[0, :]
             plot_fit(psi, x_supp, g_supp, g_supp_approx, support=self.support,
                      latex=latex, save=save)
 
@@ -513,13 +601,8 @@ class FreeForm(object):
         """
         """
 
-        # Unpack optimized parameters
-        s = self._pade_sol['s']
-        a = self._pade_sol['a']
-        b = self._pade_sol['b']
-
         # Glue function
-        g = eval_pade(z, s, a, b)
+        g = eval_pade(z, self._pade_sol)
 
         return g
 
@@ -633,7 +716,7 @@ class FreeForm(object):
         m1[mask_m, :] = numpy.conjugate(
             stieltjes(numpy.conjugate(z[mask_m, :])))
 
-        # Second Reimann sheet
+        # Second Riemann sheet
         m2[mask_p, :] = m1[mask_p, :]
         m2[mask_m, :] = -m1[mask_m, :] + self._glue(z[mask_m, :])
 
@@ -721,7 +804,7 @@ class FreeForm(object):
         m1[mask_m] = numpy.conjugate(
             stieltjes(numpy.conjugate(z[mask_m].reshape(-1, 1)))).reshape(-1)
 
-        # Second Reimann sheet
+        # Second Riemann sheet
         m2[mask_p] = m1[mask_p]
         m2[mask_m] = -m1[mask_m] + self._glue(
             z[mask_m].reshape(-1, 1)).reshape(-1)
@@ -734,7 +817,7 @@ class FreeForm(object):
     # decompress
     # ==========
 
-    def decompress(self, size, x=None, delta=1e-4, iterations=500,
+    def decompress(self, size, x=None, delta=1e-6, iterations=500,
                    step_size=0.1, tolerance=1e-4, plot=False, latex=False,
                    save=False):
         """
@@ -782,6 +865,10 @@ class FreeForm(object):
         rho : numpy.array
             Spectral density
 
+        eigs : numpy.array
+            Estimated eigenvalues as low-discrepancy samples of the estimated
+            spectral density.
+
         See Also
         --------
 
@@ -809,9 +896,12 @@ class FreeForm(object):
         rho, x, (lb, ub) = decompress(self, size, x=x, delta=delta,
                                       iterations=iterations,
                                       step_size=step_size, tolerance=tolerance)
+        x, rho = x.ravel(), rho.ravel()
 
         if plot:
-            plot_density(x.reshape(-1), rho.reshape(-1), support=(lb, ub),
+            plot_density(x, rho, support=(lb, ub),
                          label='Decompression', latex=latex, save=save)
 
-        return rho
+        eigs = numpy.sort(qmc_sample(x, rho, size))
+
+        return rho, eigs

{freealg-0.0.3.dist-info → freealg-0.1.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: freealg
-Version: 0.0.3
+Version: 0.1.1
 Summary: Free probability for large matrices
 Keywords: leaderboard bot chat
 Platform: Linux
@@ -29,6 +29,8 @@ Requires-Dist: scipy
 Requires-Dist: texplot
 Requires-Dist: matplotlib
 Requires-Dist: colorcet
+Requires-Dist: networkx
+Requires-Dist: statsmodels
 Provides-Extra: test
 Provides-Extra: docs
 Dynamic: classifier

freealg-0.1.1.dist-info/RECORD

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+freealg/_decompress.py,sha256=H7ocq09gQnCY-q_8xHi6qyYj3qp239MCgj406hn0yeE,3344
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freealg-0.0.3.dist-info/RECORD

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-freealg/distributions/__init__.py,sha256=7t4HbP_EofiFDYLH6jbD94AIumOdcHn1y_Qo54mpLFM,614
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-freealg-0.0.3.dist-info/licenses/LICENSE.txt,sha256=J-EEYEtxb3VVf_Bn1TYfWnpY5lMFIM15iLDDcnaDTPA,1443
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